When Arnie is using the chain Gun at Cyberdyne Corp., that gun's not chain feed in real life. Rounds are fed through a tube from a back-pack. This could explain why the chain & ammo never get fed into the gun in the movie.

That isn't a chain gun, its a mini gun... and it isn't back-tube fed, its in a casing. Usually its possible to chain feed a minigun, pictures of miniguns can be found here http://securityarms.com/20010315/galleryfiles/0300/314.htm, http://securityarms.com/20010315/galleryfiles/1900/1917.htm